If you're using one of the Audio Dialogues from the relevant subforum, it should be an SWF file. Simply load it like you would any other mod - Select it in the Modding menu tab, by clicking SWF Mod and choosing the file you want. Enable dialogue under Options, enjoy.

Those audio files inside the rar are part of the work-in-progress audio dialogue - they won't do anything by themselves, and the Misty audiologue was complicated enough that it was apparently never finished. You don't want them (unless you're making an audio dialogue of your own out of them, which is fairly complicated), you want the completed SWF files.

The version that looks closest to being remotely playable is in this post. The instructions on how to use the SWF are in there (basically, load the txt file as a dialogue first). Apparently even that version isn't finished, so don't expect it to work fully.